I don't have any of the equipment that you have, but I do have an SB connected to a Tivo DVR. The physical remote control for the Tivo does control the Tivo. And I setup on the SB setup software a virtual remote control for the Tivo (which looks on my computer screen identical to the physical Tivo remote control). There is an IR cable attached to the SB that is taped to the underside of the Tivo, so that the IR blaster head points at the IR window on the Tivo.
Works fine when I want to control the Tivo through the SB viewing at watch.slingbox.com. So long as no one is sitting in front of the Tivo trying to control it with the REAL Tivo remote, everything is fine.
So I would assume that you position a second IR blaster (this one connected to your SB) in front of your DVR, so that either of the two remotes could control it.
What I understand from your post, is that you would like to know how to connect the Slingbox to your Audio and Video Source.
In this case and first of all, you need to make sure that the Set Top Box (Cable Box, Satellite Receiver, DVR or DVD) is compatible.
If it is, you will need to connect the Slingbox to it and the IR blasters will go in front of the Set Top Box IR Sensor.
You can check the following links about the compatible Audio and Video Sources and the Setup.